Statistical properties of agent-based models in markets with continuous double auction mechanism

Agent Competition Double-Auction Mechanism

T paper proposes an agent competition double-auction mechanism to simplify decision making and promote transactions for the customer-to-customer marketplaces. Under the proposed double-auction mechanism, bidding one’s true valuation (private information) is the best strategy for each individual buyer and seller even when shipping costs and sales taxes are different across various possible trans...

An agent-based simulation of double-auction markets

An agent-based simulation of double-auction markets Ted Xiao Guo Master of Science Graduate Department of Computer Science University of Toronto 2005 Agent-based simulation has emerged as a promising research alternative to the traditional analytical approach in studying financial markets. The idea behind agent-based simulation is to constructively model a market in a bottom-up fashion using ar...

The Agent-Based Double Auction Markets: 15 Years On

Novelties discovering as a source of constant change is the essence of economics. However, most economic models do not have the kind of noveltiesdiscovering agents required for constant changes. This silence was broken by Andrews and Prager 15 years ago when they placed GP (genetic programming)-driven agents in the double auction market. The work was, however, neither economically well interpre...

Statistical theory of the continuous double auction

Most modern financial markets use a continuous double auction mechanism to store and match orders and facilitate trading. In this paper we develop a microscopic dynamical statistical model for the continuous double auction under the assumption of IID random order flow, and analyze it using simulation, dimensional analysis, and theoretical tools based on mean field approximations. The model make...

Probabilistic properties of the continuous double auction